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Working Papers

From Faculty of Economic Sciences, University of Warsaw
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2020-42: Does Bitcoin Improve Investment Portfolio Efficiency? Downloads
Paweł Sakowski and Daria Turovtseva
2020-41: Verification of Investment Opportunities on the Cryptocurrency Market within the Markowitz Framework Downloads
Paweł Sakowski and Anna Turovtseva
2020-40: Honey, Mugs and Caricatures: anchors on prices of consumer goods only hold hypothetically Downloads
Magdalena Brzozowicz and Michał Krawczyk
2020-39: Applying Hurst Exponent in Pair Trading Strategies Downloads
Quynh Bui and Robert Ślepaczuk
2020-38: We have just explained real convergence factors using machine learning Downloads
Piotr Wójcik and Bartłomiej Wieczorek
2020-37: Predicting well-being based on features visible from space – the case of Warsaw Downloads
Krystian Andruszek and Piotr Wójcik
2020-36: Home advantage revisited. Did COVID level the playing fields? Downloads
Michał Krawczyk and Pawel Strawinski
2020-35: The impact of the results of football matches on the stock prices of soccer clubs Downloads
Robert Ślepaczuk and Igor Wabik
2020-34: What factors determine unequal suburbanisation? New evidence from Warsaw, Poland Downloads
Honorata Bogusz, Szymon Winnicki and Piotr Wójcik
2020-33: The impact of the content of Federal Open Market Committee post-meeting statements on financial markets – text mining approach Downloads
Ewelina Osowska and Piotr Wójcik
2020-32: Fractional differentiation and its use in machine learning Downloads
Janusz Gajda and Rafał Walasek
2020-31: Variance Gamma Model in Hedging Vanilla and Exotic Options Downloads
Bartłomiej Bollin and Robert Ślepaczuk
2020-30: Impact of using industry benchmark financial ratios on performance of bankruptcy prediction logistic regression model Downloads
Mateusz Heba and Marcin Chlebus
2020-29: Lottery "strategies": monetizing players' behavioral biases Downloads
Raman Kachurka and Michał Wiktor Krawczyk
2020-28: Value-at-risk — the comparison of state-of-the-art models on various assets Downloads
Karol Kielak and Robert Ślepaczuk
2020-27: Predicting prices of S&P500 index using classical methods and recurrent neural networks Downloads
Mateusz Kijewski and Robert Ślepaczuk
2020-26: Predicting uptake of a malignant catarrhal fever vaccine by pastoralists in northern Tanzania: opportunities for improving livelihoods and ecosystem health Downloads
Catherine Decker, Nick Hanley, Mikolaj Czajkowski, Thomas Morrison, Julius Keyyu, Linus Munishi, Felix Lankester and Sarah Cleaveland
2020-25: Energy demand management and social norms – the case study in Poland Downloads
Bernadeta Gołębiowska, Anna Bartczak and Mikolaj Czajkowski
2020-24: Demographics and the natural interest rate in the euro area Downloads
Marcin Bielecki, Michal Brzoza-Brzezina and Marcin Kolasa
2020-23: Are Poles stuck in overeducation? Individual dynamics of educational mismatch in Poland Downloads
Jan Aleksander Baran
2020-22: Nvidia’s stock returns prediction using machine learning techniques for time series forecasting problem Downloads
Marcin Chlebus, Michał Dyczko and Michał Woźniak
2020-21: HRP performance comparison in portfolio optimization under various codependence and distance metrics Downloads
Illya Barziy and Marcin Chlebus
2020-20: Hypothetical bias remains at the heart of controversy about the reliability and validity of value estimates from discrete choice experiments (DCEs). This especially applies to environmental valuation, where typically no market value exists for the good under study. This has motivated a large body of literature that investigates possible approaches to test for and mitigate this bias. Our study provides further evidence to this debate by testing whether the use of ex-ante or ex-post mitigation strategies is effective in reducing hypothetical bias in DCEs. Specifically, we use individual and multiple ex-ante reminders along with ex-post data analysis to test whether their individual or joint use improves the quality of the willingness to pay (WTP) estimates. The analysis is carried out with the use of the state-of-the-art mixed logit model, as well as using the innovative semi-parametric logit-mixed-logit, which can capture non-standard heterogeneity distributions. The empirical study focuses on preferences for environmental and social impacts of organic olive production. Comparing three experimental treatments to a control treatment, we test whether cheap talk addressing hypothetical bias, a scale reminder or a combination of both affect stated WTP. In addition, we use ex-post data analysis aimed at correcting WTP estimates. Results show that cheap talk scripts and scale reminders, alone or in conjunction, did not significantly influence the results obtained from a sub-sample with standard budget constraint reminders. The ex-post approach outperforms the ex-ante approach and provides a significant reduction on mean WTP estimates Downloads
Sergio Colombo, Wiktor Budzinski, Mikolaj Czajkowski and Klaus Glenk
2020-19: Artificial Neural Networks Performance in WIG20 Index Options Pricing Downloads
Maciej Wysocki and Robert Ślepaczuk
2020-18: Towards better understanding of complex machine learning models using Explainable Artificial Intelligence (XAI) - case of Credit Scoring modelling Downloads
Marta Kłosok and Marcin Chlebus
2020-17: Political connections and the super-rich in Poland Downloads
Katarzyna Sałach and Michał Brzeziński
2020-16: So close and so far. Finding similar tendencies in econometrics and machine learning papers. Topic models comparison Downloads
Marcin Chlebus and Maciej Stefan Świtała
2020-15: Comparison of tree-based models performance in prediction of marketing campaign results using Explainable Artificial Intelligence tools Downloads
Marcin Chlebus and Zuzanna Osika
2020-14: Why wealth inequality differs between post-socialist countries? Downloads
Michał Brzeziński and Katarzyna Sałach
2020-13: Dealing with uncertainties of green supplier selection: a fuzzy approach Downloads
Hayk Manucharyan
2020-12: How do managers actually choose suppliers? Evidence from revealed preference data Downloads
Hayk Manucharyan
2020-11: Supplier selection in emerging market economies: a discrete choice analysis Downloads
Hayk Manucharyan
2020-10: Investing in VIX futures based on rolling GARCH models forecasts Downloads
Oleh Bilyk, Paweł Sakowski and Robert Ślepaczuk
2020-09: Size does matter. A study on the required window size for optimal quality market risk models Downloads
Mateusz Buczyński and Marcin Chlebus
2020-08: Novel multilayer stacking framework with weighted ensemble approach for multiclass credit scoring problem application Downloads
Marek Stelmach and Marcin Chlebus
2020-07: Price Transmission across Commodity Markets: Physical to Futures Downloads
Gilbert Mbara
2020-05: Payment and policy consequentiality in dichotomous choice contingent valuation: Experimental design effects on self-reported perceptions Downloads
Tobias Börger, Tenaw Abate, Margrethe Aanesen and Ewa Zawojska
2020-05: Preferences for demand side management—a review of choice experiment studies Downloads
Bernadeta Gołębiowska
2020-04: "I go, I pay". The role of experience in recognizing the need for public financing of cultural goods Downloads
Bartosz Jusypenko and Aleksandra Wiśniewska
2020-03: What do lab experiments tell us about the real world? The case of lotteries with extreme payoffs Downloads
Raman Kachurka, Michał Krawczyk and Joanna Rachubik
2020-02: Increasing the cost-effectiveness of water quality improvements through pollution abatement target-setting at different spatial scales Downloads
Mikolaj Czajkowski, Hans Andersen, Gite Blicher-Mathiasen, Wiktor Budzinski, Katarina Elofsson, Jan Hagemejer, Berit Hasler, Christoph Humborg, James Smart, Erik Smedberg, Per Stålnacke, Hans Thodsen, Adam Wąs, Maciej Wilamowski, Tomasz Zylicz and Nick Hanley
2020-01: Valuing externalities of outdoor advertising in an urban setting – the case of Warsaw Downloads
Mikolaj Czajkowski, Michał Bylicki, Wiktor Budzinski and Mateusz Buczyński
2019-21: Urban greenery management problem Downloads
Tomasz Zylicz
2019-20: What are the determinants of international trade in services? Evidence from firm-level data for Poland Downloads
Łukasz Matuszczak
2019-19: Evolution of private returns to schooling over the business cycle in a transition economy Downloads
Leszek Wincenciak
2019-18: Reevaluating distributional consequences of the transition to market economy in Poland: new results from combined household survey and tax return data Downloads
Michał Brzeziński, Michal Myck and Mateusz Najsztub
2019-17: Hybrid Investment Strategy Based on Momentum and Macroeconomic Approach Downloads
Kamil Korzeń and Robert Ślepaczuk
2019-16: A comparison of credit scoring techniques in Peer-to-Peer lending Downloads
Aneta Dzik-Walczak and Mateusz Heba
2019-15: Lévy processes on the cryptocurrency market Downloads
Damian Zięba
2019-14: Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor Downloads
Michał Latoszek and Robert Ślepaczuk
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